Previous Georgia Capital Milledgeville GA Milledgeville was the capital of Georgia from 1804 to 1868. This was the capitol building. It is now on the campus of Georgia Military College. This was the Governor’s (Executive) Mansion in Milledgeville from 1839-1868. In November 1864 this building was captured by General William T. Sherman during his March to the Sea. It served as his headquarters at that time. It is now open for tours, and it located on the campus of Georgia College. Stereotypical Antebellum Mansion across the street from the old Executive Mansion.